On forward and backward SPDEs with non-local boundary conditions

DOI10.3934/DCDS.2015.35.5335MaRDI QIDQ255495zbMATH OpenOpenAlexFDO

Authors Nikolai Dokuchaev

Publication date 9 March 2016

Published in Discrete and Continuous Dynamical Systems (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1307.8223

zbMATH Keywords

stochastic partial differential equationsnon-local conditionsperiodic conditionsportfolio selection

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Diffusion processes (60J60) Portfolio theory (91G10) PDEs with randomness, stochastic partial differential equations (35R60) Local time and additive functionals (60J55) Financial applications of other theories (91G80)

Abstract: We study linear stochastic partial differential equations of parabolic type with non-local in time or mixed in time boundary conditions. The standard Cauchy condition at the terminal time is replaced by a condition that mixes the random values of the solution at different times, including the terminal time, initial time and continuously distributed times. For the case of backward equations, this setting covers almost surely periodicity. Uniqueness, solvability and regularity results for the solutions are obtained. Some possible applications to portfolio selection are discussed.

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Cited in

(6)

• On backward SPDEs without proper Cauchy condition
• On degenerate backward SPDEs in bounded domains under non-local conditions
• On recovering parabolic diffusions from their time-averages
• Correction on a generalized BSDE involving local time and application to a PDE with nonlinear boundary condition
• First order BSPDEs in higher dimension for optimal control problems
• Parabolic Ito Equations with Mixed in Time Conditions

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